The problem is that with Steam you only know if that works after you bought the game and only know if that works across machines if you upfront have two machines to test it in.
I mean, if you know upfront that it matters to you (which you might not until, say, your machine breaks and you happen to have no access to the Internet or Steam in your new machine yet, at with point you'll be thinking "I wish I checked") you can go through all the hassle of always thoroughly testing it within the refund period of that game, but at that point piracy is less of a hassle.
Meanwhile some of my GOG offline installers are so old that they have been used on 3 different machines (well, one was the same machine under Windows and under Linux) already.
Don't get me wrong - I use both Steam and GOG, my point is that saying that "Steam has DRM free games" is even worse than a half-truth and about as bollocks as saying that a shop selling TVs is selling "Quake game machines" - sure, people with the right skills can get Quake to run in some Smart TVs, but that's not how the store is selling them as, that's definitelly not supported by them and they won't refund you a Smart TV purchase as "not suitable for purpose" if that device fails to runs Quake.
I use both Steam with Proton (for Steam store games) and Lutris with Wine (for the rest, mainly GOG) and the rate of one-click-setup success in both is about the same (maybe slightly better for Steam), with Lutris with Wine being more easy to tweak for solving the problems for those games that won't just directly run, plus Lutris lets me do way much more configuration customizing, so for example all my games under Lutris run sandboxed with networking disabled by default.
Granted, I am a Techie so I can more easilly figure out how to tweak all those configuration options and how to track launch problems in the logs.
Maybe Steam with Proton has a slight advantage for non-Techies (or Techies who just don't have the patience to even try to tweak things when a game won't run and just give up on it and move on), but it's not really that amazing - I get the impression it's more of a problem of misinformation (people hear about Steam and Proton and how it's all great, so try it and stick with it, but they don't hear enough about Lutris and the Heroic Launcher so end up not even trying either of them): it looks a lot to me like an instance of the usual "open source vs commercial software" marketing problem.
Mind you, without Lutris (or, as others mentioned, the Heroic Launcher which is similar) with all the nice install scripts properly configuring Wine for the specific game being installed, trying to game on Linux by directly configuring Wine (+DXVK) would be as an experience bad as gaming on Linux was a decade ago.
PS: That said, using the GOG client on Linux is a hassle and best avoided. both Lutris and Heroic integrate with GOG, listing the games in your account and seamlessly downloading the installers when you chose to install a game.